A remark on least-squares and naive extrapolations in non-linear AR(1) processes

A remark on least-squares and naive extrapolations in non-linear AR(1) processes

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Article ID: iaor19972618
Country: United Kingdom
Volume: 15
Issue: 7
Start Page Number: 549
End Page Number: 552
Publication Date: Dec 1996
Journal: International Journal of Forecasting
Authors:
Keywords: ARIMA processes
Abstract:

The m-step least squares extrapolation is generally different from the m-step naive extrapolation in non-linear AR(1) models when n≥2. The authors show that there exists a class of non-linear AR(1) models in which a difference between these two extrapolations is arbitrary large.

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